1 citations · 5 across the 12 of their papers we have counts for
9 papers · 1 filter
Universal Value-at-Risk superadditivity
Yuyu Chen, Liyuan Lin, Ruodu Wang
Value-at-Risk (VaR) is a standard regulatory risk measure, and its failure of subadditivity is well known. Much less appreciated is that for sufficiently heavy-tailed losses, VaR c…
Empirical estimator of diversification quotient
Xia Han, Liyuan Lin, Mengshi Zhao
The Diversification Quotient (DQ), introduced by Han et al. (2025), is a recently proposed measure of portfolio diversification that quantifies the reduction in a portfolio's risk-…
The checkerboard copula and dependence concepts
Liyuan Lin, Ruodu Wang, Ruixun Zhang +1
We study the problem of choosing the copula when the marginal distributions of a random vector are not all continuous. Inspired by four motivating examples including simulation fro…
Pairwise counter-monotonicity
Jean-Gabriel Lauzier, Liyuan Lin, Ruodu Wang
We systematically study pairwise counter-monotonicity, an extremal notion of negative dependence. A stochastic representation and an invariance property are established for this de…
Risk sharing, measuring variability, and distortion riskmetrics
Jean-Gabriel Lauzier, Liyuan Lin, Ruodu Wang
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone…
Diversification quotients based on VaR and ES
Xia Han, Liyuan Lin, Ruodu Wang
The diversification quotient (DQ) is recently introduced for quantifying the degree of diversification of a stochastic portfolio model. It has an axiomatic foundation and can be de…